Selective suppression of implied contract generation

This application is a continuation under 37 C.F.R. § 1.53(b) of U.S. patent application Ser. No. 16/241,403 filed Jan. 7, 2019, now U.S. Pat. No. 11,526,939, which claims priority to, and the benefit as a continuation under 37 C.F.R. § 1.53(b) of U.S. patent application Ser. No. 13/534,416 filed Jun. 27, 2012, now U.S. Pat. No. 10,204,377, which claims the benefit of the filing date under 35 U.S.C. § 119(e) of U.S. Provisional Application Ser. No. 61/522,556 filed Aug. 11, 2011, the entirety of all of which is are hereby incorporated by reference.

The following disclosure relates to software, systems, and methods for electronic trading in a commodities exchange, derivatives exchange or similar business involving tradable items where orders from buyers are matched with orders from sellers.

Electronic trading systems allow entry of a bid or offer for a particular tradable item, which in futures trading is referred to as a contract. The simplest possible futures contract is the outright contract defined by a product and a delivery period. It is also possible to define combination contracts, such as a spread contract, which is defined as the simultaneous purchase and sale of two or more tradable items, such as futures contracts for different months, different commodities, or different grades of the same commodity. The bid and offer components of a spread are termed the bid leg and the offer leg respectively.

Electronic trading systems accept bids and offers, whether for outright contracts or spreads, in the form of orders, also referred to as real orders because they consist of data entered by traders either directly or by computing devices under their control. An order for an outright contract may be referred to as an “outright order” or simply as an “outright.” Real orders may be entered for any tradable item in the system including, but not limited to, futures, options, inter-commodity spreads, intra-commodity spreads, futures strips, calendar spreads, butterfly spreads, condor spreads, crack spreads, straddles, and strangles.

Implied orders, unlike real orders, are generated by the system on the behalf of traders who have entered real orders, generally with the purpose of increasing overall market liquidity. For example, an implied spread order may be derived from two real outright orders. Trading systems identify and create, i.e., calculate, the “derived” or “implied” order and display the market that results from the creation of the implied order as a market that may be traded against. If a trader enters an order to trade against this implied market, then the newly entered order and the real orders that were used to derive the implied market are executed as matched trades.

Implied orders frequently have better prices than the corresponding real orders in the same contract. This can occur when two or more traders incrementally improve their order prices in the hope of attracting a trade, since combining the small improvements from two or more real orders can result in a big improvement in their combination. In general, advertising implied orders at better prices will encourage traders to enter the opposing orders to trade with them. The more combinations that the Match Engine of a trading system can calculate, the greater this encouragement will be and the more the exchange will benefit from increased transaction volume.

Generating an implied market is a complex process because of, among other considerations, the large number of potential order combinations upon which implied orders may be based. For example, a single commodity product available in 72 different delivery months will have 72 possible outright contracts, each of which may have a resting buy order or a resting sell order. There are 2556 (=(72*71)/2) potential spread contracts, noting that the buy/sell combination and sell/buy combination of any two outright contracts both correspond to the same spread contract. For a simple implied where two real orders combine to form a third order, there are 5256 (=2*72+2*2556) choices of the order to imply and 71 (=72−1) ways to choose a combination of two orders implying any given third order, leading to 373,156 combinations overall. As the number and complexity of the contracts involved in implication gets larger, the number of possible combinations grows exponentially.

For these reasons, trading systems that derive implied orders are often limited by computing capacity and speed. Conventional trading systems do not have an efficient method of determining all possible or best possible implied markets, especially when the order combinations involve more than a few orders.

The disclosed embodiments relate to suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market for that order.

The order matching function in an electronic trading system is typically performed by a specialized component referred to as a Match Engine, of which there may be multiple instances. Each Match Engine is a specialized order matching component that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. Traders, in turn, utilize the trading system to respond to the market data by sending additional orders. These additional orders are received by the Match Engine, which then attempts to match them with previously received orders or combinations thereof. The Match Engine executes the possible trades and communicates the results.

The embodiments are illustrated and described in terms of a distributed computing system. The particular examples identify a specific set of components useful in a futures and options exchange. However, many of the components and inventive features are readily adapted to other electronic trading environments. The specific examples described herein may teach specific protocols and/or interfaces, although it should be understood that the principles involved are readily extended to other protocols and interfaces in a predictable fashion.

Regulated and unregulated exchanges and other electronic trading services make use of electronic trading systems. For example, the following embodiments are applicable to any trading or futures market in the United States or elsewhere in the world, for example, the Chicago Board of Trade (CBOT), the Chicago Mercantile Exchange (CME), the Bolsa de Mercadorias e Futoros in Brazil (BMF), the London International Financial Futures Exchange, the New York Mercantile Exchange (NYMEX), the Kansas City Board of Trade (KCBT), MATIF (in Paris, France), the London Metal Exchange (LME), the Tokyo International Financial Futures Exchange, the Tokyo Commodity Exchange for Industry (TOCOM), the Meff Renta Variable (in Spain), the Dubai Mercantile Exchange (DME), and the Intercontinental Exchange (ICE).

An example of the functional layout of such an electronic trading systemis shown in. In this example, the electronic trading systemincludes the components shown within the system boundary. The clientand the price reporting systemare shown outside the system boundarybut communicate with the electronic trading systemusing a wired and/or wireless, proprietary and/or non-proprietary communications network, such as the Internet, and may include the networkdescribed below with respect to. The term client is used generically to indicate any user operated device or other networked device capable of communicating with the electronic trading system. The electronic trading system, as well as each client, may be implemented as a computeras described below with respect to.

In an exemplary implementation, the clienttransmits electronic orders to an Order Submission Pointby way of the communication network, such as the Internet. It is contemplated that Order Submission Pointsmay take on a wide variety of application-specific designs to suit the needs of particular brokerages, investors, investment plans and the like. It is also contemplated that the electronic trading systemmay contain multiple Validators, Match Engines, Persist components, Ticker Plants, Market Data Serversand Market Data Distribution Servers. The routing of messages between these componentstomay be managed with commercially available hardware and software. It is understood that descriptions are given in the singular only to simplify the exposition. It is further understood that the term “order” and “new order” may also refer to any data communicated to the trading system that can affect the properties of a previously communicated order, including, but not limited to, modification of its price, modification of its volume or its cancelation or replacement by a different order, or a combination thereof.

The Order Submission Pointcommunicates with the Validator. The Validatorchecks the properties of the new order against established criteria and communicates the validated order to the relevant Match Engine, if more than one is provided (not shown). In, it is assumed that the new order did not match any previously entered orders, so the Match Enginecommunicates the unmatched received order to the Persist component, which stores the order, sometimes referred to as a “resting order,” in its database, the accumulation of related orders in this databasesometimes being referred to as an “order book” or a “market.” In, it is also assumed that the storage of the order by the Persist componentconstitutes its “official” reception by the trading system, so the Persist componentcommunicates an execution report to the Order Submission Point, from which it is communicated to the originator of the order. The Persist componentmay be implemented as part (such as software or firmware) of the match engine. Alternatively, the Persist componentmay be a database, a memory, or another storage element, such as the memorydescribed with respect to. Additionally, the Persist componentmay be computer hardware including a processor and a storage element, such as the processorand memorydescribed below with respect to.

The Match Enginealso communicates the existence of the new order and any implied orders that it created, described in more detail below, to the Ticker Plant(reporting device) which in turn, communicates the new order and implied orders to the Market Data Server. The Ticker Plant(reporting device) occupies this position between the Match Engineand the Market Data Serverand functions to aggregate data from multiple sources and communicate with components outside the electronic trading system, such as the Price Reporting System. The Ticker Plant(reporting device) may be implemented as an integrated component of the Match Engine. Alternatively, the Ticker Plantmay be computer software, firmware, or hardware, that is separate but in communication with the Match Engine(as shown). The Ticker plantmay store all or part of the data it receives in a Ticker Plant Database coupled therewith. The Market Data Servermay communicate market data to the clientin a variety of ways. For example, the market data may be sent to the Order Submission Pointfor communication with the client over the same link as the execution report, or sent to a Market Data Distribution Serverthat can communicate with any number of clients (not shown).

Those of skill in the art will appreciate that the operations of the Match Enginemay be performed in more than one part of trading systemor in related systems. For example, the calculation of implied orders may be done by traders at their trading stations (not shown) in search of arbitrage opportunities between trading networks or match engines. It is also possible to perform these calculations outside the trading systemfor the evaluation of possible trading strategies, for instruction, regulation or in the solution of other problems where trading is used as a model.

shows a more detailed block diagram of the Match Engineofhaving a layered architecture and embodied on a computer including a processor and a memory, such as the computehaving a processorand memory, as described below with respect to. The Match Enginemay communicate with other components using a message bus. Incoming messages are translated by an Adaptation Layerinto events that can be processed by a Match Engine Core, sometimes referred to simply as the Core. The output messages from the Coreare translated by the Adaptation Layerback into messages that can be transmitted to other parts of the trading systemusing the message bus. The Corecalculates implied orders and may be implemented in hardware, software or a combination thereof. In one embodiment, the Coreis implemented in software which is referred to as the Implicator or Match Engine Implicator (not shown). Although this example includes the Implicator as part of Match Enginein an electronic trading system, the Implicator can be used in any system where implied orders need to be calculated. An example of such a system is the client software used by a trader to receive market data and search for arbitrage opportunities on multiple electronic trading systems.

A Match Engine Coreand its Implicator may be implemented in a programming language such as Java or C++ that allows multiple threads of execution and that a program with multiple threads may be executed on a computing system with multiple central processing units (CPU). In such an implementation, if the program is correctly designed, the threads may execute substantially in parallel and the time taken to execute all of the threads can be as short as the time taken by the single longest thread. If there are more threads than CPUs, then the execution time will depend on how many threads must be executed sequentially on each CPU. In, it is contemplated that the Corewill be implemented in such a language and that the calculation of implied orders by the Implicator will be accelerated by performing many independent calculations in parallel on separate threads.

An Implicator operates on a group of contracts referred to as an implication group. In futures trading, an implication group consists of orders for outright contracts and combination contracts that can trade with each other. An outright contract is defined by at least a product and a delivery period, such as West Texas Intermediate Crude Oil delivered at Cushing, Oklahoma in the month of January 2008. A combination contract, also referred to as a strategy, may be defined as a combination of orders for outright contracts where each order for an outright contract forms a leg of the strategy. The definition specifies whether buying a unit quantity of the strategy, i.e. the combination contract, requires a given leg to be bought or sold and in what quantity. Strategies may be defined by the exchange and advertised to traders as tradable instruments. Strategies may also be defined by users through a security definition request conveyed to the trading system using an appropriate protocol, as will be described in more detail below.

A simple combination contract found in many futures trading systems is the calendar spread, which is a contract to buy a product in one delivery period and sell it in another. An exemplary implication group would be the outright contracts for a given product in two different delivery periods and the calendar spread contract between these two outright contracts.

It is possible to define combination contracts with any number of legs. Further examples of combination contracts include the intercommodity spread with two legs, the 3:2:1 ratio spread with three legs and the yearly strip with twelve legs. Any number of such contracts may be placed in an implication group so long as any combination contract that belongs to the group also has all of its outright leg contracts as members of the group. It is not necessary for every possible combination of the outright contracts to correspond to a tradable combination contract.

It is possible to define combination contracts where the purchase of a single unit of the combination requires the purchase or sale of any number of units in the legs. The number of units required of any given leg is referred to as its volume ratio. Examples of strategies that include legs having different volume ratios include, but are not limited to, the butterfly, the double butterfly, crack spreads, crush spreads, and other ratio spreads, which are discussed in detail below.

It is possible to extend the foregoing definitions to tradable items other than commodity futures, such as equities, options on equities, options on futures and other tradable instruments.

An exemplary combination contract is the butterfly, which consists of three legs referred to as the wing, the body and the (second) wing. A futures butterfly is typically defined with the wing, the body and the second wing in three successive delivery periods. A futures butterfly definition may be expressed using trading terminology as Buy1exp1 Sell2exp2 Buy1exp3. The double position in the middle is called the body, while the two other positions are called the wings.

The options butterfly, which is a often used as an example because of its common use in volatility trading, is defined with the wing, the body and the second wing as options in the same product and delivery period but with different strike prices. The buy butterfly (long butterfly) call options spread includes a long call at a low strike price, (a long 1 call at (X−a) strike), a long call at a high strike price (long 1 call at (X+a) strike), and a short with twice the unit volume at the average strike price (short 2 calls at X strike). Buy butterfly spreads may also be formed with put options and may also be unbalanced, using different strike prices. A sell butterfly (short butterfly) takes the opposite position.

The double butterfly, also known as the double butterfly spread, is a combination defined as a spread between two simple butterflies, i.e. one butterfly is bought and the other sold. A double butterfly futures spread may be equally defined as a combination of legs at four different delivery periods (expiry dates), which may be expressed as “buy1exp1 sell3exp2 buy3exp3 sell1exp4”. For a double butterfly options spread the legs are at four different strike prices instead of different delivery periods.

The crack spread involves a ratio of crude oil to a distillate such as gasoline or heating oil. Simple crack spreads involve only crude oil and a single distillate. However, crack spreads may also be defined in two-one-one, three-two-one, or five-three-two ratios of crude oil and two of its distillates.

A crush spread involves soybeans or other commodity and the products that can be made from the commodity, such as oil from soybeans. A crush spread may be made at any ratio.

The crack spread and crush spread are specific examples of ratio spreads. A ratio spread is any strategy that involves buying some number of tradable instruments and selling a different number of other tradable instruments. The tradable instruments may have some common property and the ratio may be based on some relationship between the physical or financial products that the tradable instruments represent, but this is not required. For example, a ratio spread can be formed using options of the same underlying market (or another market) and (usually) the same expiration date, but of a different strike price. However, this is just an example and ratio spreads may in principle be constructed with any combination of contracts and volume ratios in any number of buy and sell legs.

The disclosed embodiments may further be applicable to currency spreads, also referred to as currency swaps or foreign exchange swaps, where orders for such swaps may result in implied orders as described herein. For example, an order for a dollar-yen swap and a Franc-Euro swap may imply an order for a dollar-Euro swap.

An example of a technique for defining implicable contracts and calculating the implied orders that can trade in such contracts can be found in U.S. patent application Ser. No. 12/032,379, entitled “Symbolic Language For Trade Matching” and published as US Patent Application Publication No. 2009/0327153 A1, which is incorporated herein by reference in its entirety. The match engine modeling language (MEML) and implication techniques described therein make use of graph theory, which is the study of mathematical structures used to model pairwise relations between objects from a certain collection. A “graph” in this context refers to a collection of vertices or “nodes” and a collection of “edges” that connect pairs of vertices. The type of graph used in the technique is sometimes referred to more specifically as a “directed graph,” since each edge is defined with a source node and a target node, and is directed from the source to the target.

In one implementation, the Match Engineis a computing device operating under the control of a computer program, wherein the computer program implements a specification expressed in the match engine modeling language. As contemplated by U.S. patent application Ser. No. 12/032,379, the modeling language includes a concrete syntax, an abstract syntax for constructing expressions in the language, a syntactic mapping for associating MEML expressions with elements of the trading systemand a semantic mapping to relate modeling language expressions to real-world business requirements.

An example of a technique for rapidly calculating implied orders is given in U.S. patent application Ser. No. 12/350,788, entitled “Determination of Implied Orders in a Trade Matching System” and published as US Patent Application Publication No. 2010/0174633 A1, which is incorporated herein in its entirety. A match engine that implements a specification expressed in the match engine modeling language contemplated by U.S. patent application Ser. No. 12/032,379 may have its speed of calculation increased thereby.

Those of skill in the art will appreciate that once a method has been given for expressing a tradable combination of contracts in the match engine modeling language contemplated by U.S. patent application Ser. No. 12/032,379, a match engine specified in that modeling language can be readily extended to perform the computations required to imply any component order in that combination using the techniques associated with finding shortest paths in a graph.

Methods used to accelerate the calculation of implied orders, such as the categorization, analysis, allocation, filtering, thread management and merging techniques contemplated by U.S. patent application Ser. No. 12/350,788 do not depend on the specific form of shortest path calculation so long as there is a means of assigning shortest path trees or similar groups of data to independent threads.

There may be many well-known methods available for calculating shortest paths including, without limitation: Floyd's algorithm, the Bellman-Ford algorithm, Dijkstra's algorithm and Johnson's algorithm. Similarly, the calculation of other graph properties, including but not limited to the identification and removal of zero-priced or negatively-priced cycles within a graph can be performed using straightforward extensions of these algorithms or with other known algorithms.

The disclosed embodiments will be described in application to a calendar spread, also referred to as an inter-delivery, intra-market, time or horizontal spread, which, generally, is an options or futures spread established by simultaneously entering into a long and short position on the same underlying asset but with different delivery months. Calendar spreads generally include a combination of front month and back month contracts. Generally, a “front month” contract refers to a contract having an expiration date closest to the current date, often in the same month, and is typically the shortest duration contract that may be purchased in the futures market. A “back month” contract refers to a contract which expires in any month past the “front month” contract expiration. Front month contracts are generally the most “liquid” of futures contracts, i.e., it is most easily traded without large transactions affecting a substantial change in price.

It will be appreciated, however, that the disclosed embodiments may be applied to any spread contract having highly liquid leg component where it is desired to allow traders to keep the bid/ask spread, i.e., the difference in price between the highest price that a buyer is willing to pay (bid) and the lowest price for which a seller is willing to sell (ask), close, i.e. “tight,” without artificially created orders, i.e. implied orders, crowding the traders' outright orders and/or where the bid/ask spread is already close, as is the case for highly liquid contracts, obviating the need for implied orders to improve liquidity.

As shown in, with respect to calendar spreads, the disclosed embodiments allow the Match Engineto compute implied orders for outright orders placed for a front-month contractin combination with a spread between the front-month and a back-month contract, i.e. implying the order in the back-month contract, or for outright orders for the front-month contractand the back-month contract, i.e. implying the order for the spread there between. However, in the case of an outright order for a back-month contractin combination with an order for a spread between the front-month contract and the back-month contract, the disclosed embodiments suppress or otherwise prevent the computation of the implied front-month contract orderand the subsequent listing thereof.

The disclosed embodiments allow, for example, arbitrageurs, i.e., traders which attempt to profit from price differentials, to keep the front month bid/ask spread very close together, i.e. ‘tight’, without the Match Engineartificially creating implied orders into the front month contract, and allow them to profit from other participants entering market orders into the front month contract. This is because another trader is more likely to enter a counter-order at a price which is better or otherwise more optimal for arbitrageur trader than the automatically generated implied order. In addition, front month contracts are by definition the most liquid contract month, as opposed to other month contracts, and are very tight, usually displaying a 1 tick bid/ask spread. Therefore, implieds may not be necessary for inclusion into the order books of front month contracts as they would not further improve liquidity. Accordingly, the disclosed embodiments may also improve the efficiency of the trading systemby reducing the number of implied orders which must be calculated, listed, and managed, thereby minimizing the calculations that the trading systemmust undertake and reduces the messages that are transmitted via market data.

It will be appreciated that for the purpose of keeping a particular bid/ask spread close, once calculated, an implied order may simply be prevented from being listed. While not necessarily reducing the computation load on the trading system, such an implementation would also improve systemefficiency by reducing message traffic as well as minimizing resources consumed due to listing and managing the implied orders.

Herein, the phrase “coupled with” is defined to mean directly connected to or indirectly connected through one or more intermediate components. Such intermediate components may include both hardware and software based components. Further, to clarify the use in the pending claims and to hereby provide notice to the public, the phrases “at least one of <A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, or combinations thereof” are defined by the Applicant in the broadest sense, superseding any other implied definitions here before or hereinafter unless expressly asserted by the Applicant to the contrary, to mean one or more elements selected from the group comprising A, B, . . . and N, that is to say, any combination of one or more of the elements A, B, . . . or N including any one element alone or in combination with one or more of the other elements which may also include, in combination, additional elements not listed.

Referring now to, there is shown a block diagram depicting one embodiment of a systemfor improving the efficiency of a trading system. The system, which may include a processor and a memory coupled therewith, such as the processorand memorydescribed below with respect to, includes an order receiver, which may be implemented as logic stored in the memoryand executable by the processor, operative to receive, such as via a networkwhich may be the network, described below, from at least one market participantof a plurality of market participants-, a first order for a first instrument and a second order for a second instrument, the first and second orders having a relationship there between from which at least a third order for a third instrument may be implied. It will be appreciated that both the first and second order may be received from the same or from different participants-. The market participantmay be using the clientcoupled with the trading systemvia the networkwith the order submission pointas described above. In one embodiment, the first and second orders may be the legs of a spread or one component, i.e. leg, and the spread itself, as was described above, where the relationship implies, in the case of the first and second orders being the spread legs, the spread itself or where the first and second orders are for one spread leg and the spread itself, the relationship implying at least the other spread leg. In one embodiment, the spread is a calendar spread with one leg being a front-month contract and the other leg being a back-month contract. It will be appreciated, however, that the disclosed embodiments may be implied in any situation, e.g., of any combination of orders, which imply at least one other order, including inter-commodity, intra-commodity, inter-market, and intra-market spreads.

The systemfurther includes an implied order generatorcoupled with order receiverand operative to selectively generate the implied third order based on the first and second orders and make the computed implied third order available in a market for the third instrument for trading by the plurality of market participants-, such as be listing it on an order book for the third instrument.

The implied order generatormay be further operative to prevent, at least, the availability of the implied third order, such as by preventing it from being listed in the order book for the third instrument, when the market for the third instrument is determined to be substantially liquid. Further, in one embodiment, the implied order generatormay be further operative to prevent, or otherwise avoid, the generation of the implied third order when the market for the third instrument is determined to be substantially liquid.

In one embodiment, the first and second orders may each include component instruments of a spread order and the third order comprising the spread order. Alternatively, or in addition thereto, the first order may include a first component instrument of a spread order, the spread order being based on, or otherwise having, first and second component instruments, the second order comprises the spread order and the third order comprises the second component instrument of the spread order. Alternatively, or in addition thereto, the first order may include an order for a back-month contract and the second order comprises an order for a spread between the back-month contract and a front-month contract, the third order comprising an order for the front-month contract. The market for the third instrument may be characterized by a best ask price and a best bid price within 1 price tick thereof.

It will be appreciated that liquidity of a market is implementation dependent and/or may depend upon the perspective of one or more participants of the-. Generally, market liquidity may be defined as an asset's ability to be bought or sold without causing a significant movement in the price and with minimum loss of value, e.g. where there are ready and willing buyers and sellers at all times, such as a market with many bid and ask orders, whereby the best bid and best offer prices are “relatively” close to one another. For example, liquidity of a market may be measured as the probability that the next trade in that market will be executed at a price equal to the most recent concluded trade in that market. Objectively, liquidity of a market may be measured by the difference in price tick value between the best bid price and the best ask price, such as where the difference is within a defined threshold value such as two price ticks. It will be appreciated that such a threshold may be specified as a fixed value or may be dynamically specified and vary based on, for example, time of day, day of month, month of year, order volume, current price level of the best ask and/or best bid prices, instrument type, a parameter of a correlated market, or other parameter or combination thereof. In known markets, liquidity may be defined specifically based on the contract type, delivery month(s), commodity type, etc., such as, for example, where a market for a instrument deliverable in December is considered liquid as opposed to any other month. Alternatively, for example, a market for an instrument deliverable in the current month is considered liquid.

Accordingly, in one embodiment, the market for the third instrument may be determined to be substantially liquid when the best bid price in the market for the third instrument is within a statically or dynamically defined threshold number of price ticks of the best ask price in the market for the third instrument. For example, the threshold may be two price ticks. Alternatively, or in addition thereto, the market for the third instrument may be determined to be substantially liquid when a delivery month of the third instrument is one or more defined delivery months, e.g. December, or a defined range of months, the market for the third instrument may be determined to be substantially liquid when a delivery month for the third instrument is the current month, the market for the third instrument may be determined to be substantially liquid when a likelihood of receipt of an order, at a better price with respect to a resting counter order thereto, for the third instrument satisfying the relationship between the first and second orders from one of the plurality of market participants exceeds a threshold probability such as 50%, the market for the third instrument may be determined to be substantially liquid when the implied third order will not substantially improve, e.g. reduce, a spread between a best bid price and a best ask price in the market for the third instrument, such as not reduce it by more than 1 price tick.

It will be recognized that in some circumstances, suppression of an implied order may result in the relevant market becoming crossed, i.e., where there is listed a bid order at a higher price than a listed ask order. In a normal market, such as a situation does not occur as the trading or match engine will match the bid and offer to create a trade, e.g., market forces and economic motivations of the participants-ensure that one will not buy something for more than is required. Accordingly, in one embodiment, the implied order generatoris further operative to determine whether prevention of the availability of the implied third order will result in the market for the third instrument being crossed and allow the availability of the implied third order if the prevention thereof will result in the market for the third instrument being crossed. This determination may be made before or after the implied order is generated depending upon the implementation.